AICc {fastTS}

internal AICc function for lasso models

Description

internal AICc function for lasso models

Internal function for obtaining oos results

Internal function for converting time series into model matrix of lags

Usage

AICc(fit, eps = 1)

get_oos_results(fits, ytest, Xtest)

get_model_matrix(y, X = NULL, n_lags_max)

Arguments

fit

an object with logLik method,

eps

minimum df used in computation

fits

a list of fits with different tuning parameters

ytest

validation data

Xtest

new X data, including lags

y

time series vector

X

Additional exogenous features

n_lags_max

Maximum number of lags to add